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T-stability of Numerical Solutions for Linear Stochastic Differential Equations with Delay 被引量：1

T-stability of Numerical Solutions for Linear Stochastic Differential Equations with Delay
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摘要 In this paper, T-stability of the Euler-Maruyama method is taken into account for linear stochastic delay differential equations with multiplicative noise and constant time lag in the Under a certain condition for coefficients, T-stability of the numerical scheme is researched. Moreover, some numerical examples will be presented to support the theoretical results. In this paper, T-stability of the Euler-Maruyama method is taken into account for linear stochastic delay differential equations with multiplicative noise and constant time lag in the Under a certain condition for coefficients, T-stability of the numerical scheme is researched. Moreover, some numerical examples will be presented to support the theoretical results.
作者 WANG Qi
机构地区 Faculty of Applied Mathematics
出处 《Wuhan University Journal of Natural Sciences》 CAS 2011年第4期277-281,共5页 武汉大学学报（自然科学英文版）
基金 Supported by the National Natural Science Foundation of China(51008084) the Natural Science Foundation of Guangdong Province(9451009001002753)
关键词 stochastic delay differential equations Euler-Maruyama method numerical solution T-STABILITY stochastic delay differential equations Euler-Maruyama method numerical solution T-stability
分类号 O241.8 [理学—计算数学]
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参考文献10

  • 1Mao Xuerong. Exponential Stability of Stochastic Differential Equations[M]. New York: Marcal Dekker, 1994.
  • 2Verriest E I, Florchinger E Stability of stochastic systems with uncertain time delays[J]. Syst Control Lett, 1995, 24: 41-47.
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  • 5Cao Wanrong, Liu Mingzhu, Fan Zhencheng. MS-stability of the Euler-Maruyama method for stochastic differential dalay equations[J]. Appl Math Comput, 2004, 159: 127-135.
  • 6Zhao Guihua, Song Minghui, Liu Mingzhu. Exponential stability of Euler-Maruyama solutions for impulsive stochas- tic differential equations with delay[J]. Appl Math Comput,2010, 215: 3425-3432.
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  • 9Liu Mingzhu, Cao Wanrong, Fan Zhencheng. Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation[J]. J Comput Appl Math, 2004, 170: 255-268.
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Wuhan University Journal of Natural Sciences
2011年 第4期

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